財務預測宣告前之私有資訊交易及影響因素

The Private Information Trading and Its Influencing Factors prior to Earning Forecast Announcements

劉毅馨(Yi-Hsin Liu)

指導教授 ： 蔡彥卿

國立臺灣大學/管理學院/會計學研究所/博士(2007年)

https://doi.org/10.6342/NTU.2007.02458

摘要

臺灣資本市場常傳聞管理當局先調節持股，賺取重大消息公開後的超額報酬。臺灣半數以上的上市、上櫃公司為家族所控制，股權集中下大股東利用資訊優勢侵害小股東權益，不利於資本市場的長期發展。證期局為增加公司資訊的透明度，並減少內部關係人藉資訊優勢獲取不當利益，在1991年至2004年間要求面臨重大變動的公司，必需在變動當年及續後期間公開財務預測，以減少投資人與管理局間資訊不對稱程度。同時要求內部關係人持股變動必需申報公告、促使公司對內部人短線交易行使歸入權，並提高內線交易的刑期與罰金，以維護資本市場交易的公平性。但由於內部關係人常使用人頭戶規避查緝，認定內線交易的要件又相當嚴格，使得長期以來內線交易定罪率偏低，無法扼止資訊交易。究竟臺灣資本市場私有資訊交易的現象是否嚴重?本文擬透過嚴謹的統計模型，探討財務預測宣告前市場上資訊交易的情況，及公司股權結構和董事會結構對私有資交易利潤的影響。
本研究利用1987年至2006年臺灣上市上櫃公司的市場資料及財務資料，採事件研究法，觀察財務預測宣告前60天內，前後期異常報酬與異常週轉率的關係，檢視私有資訊交易是否有顯著增加的現象。區分牛市及熊市的觀測值，觀察財務預測宣告對市場上主要交易動機的影響。文中分別以pooled fiexed year effects及分年測試的方法，檢定私有資訊交易的各項假說，並以門檻迴歸法檢驗資訊不對稱程度對私有資訊交易的影響。另以廣義估計方程式(Generalized Estimating Equations)測試股權結構相關假說，以解決叢聚樣本(clustered sample)資料間可能不具獨立性的問題，使迴歸係數估計仍具不偏性，並強化檢定效力(robust)。
研究結果發現，無論利用pooled fixed year effects 估計測試或分年估計測試，觀測期內市場上主要交易動機為避險交易，但事件期(財務預測宣告前20天起)私有資訊交易有顯著增加的現象，此現象熊市比牛市更為顯著。自願性財務預測較強制性財務預測引發更多私有資訊交易。證券市場交易制度和預期訟訴成本使得正向消息較負向消息誘發更多的私有資訊交易。門檻迴歸的結果顯示，有66%的觀測值(牛市時高達82%)宣告期會增加私有資訊交易。特別的是，在市場景氣趨勢和公司預期獲利情況相反時，例如：牛市而公司預期未來盈餘嚴重衰退，熊市而公司預期未來顯著成長時，會顯著增加宣告期的私有資訊交易。
股權結構對私有資訊交易利潤有顯著的影響力，家族現金流量權具有正的誘因效果，當家族持股愈大，私有資訊交易利潤愈小。家族對公司的控制權偏離現金流量權的程度愈大，負的侵害效果愈顯著，會顯著增加宣告前私有資訊交易利潤。機構投資人憑藉其雄厚財力及專業人才，廣泛收集資訊，是另一種形式的資訊優勢者。當機構投資人持股增加，會顯著增加股價報酬在財務預測宣告前的反應幅度，其中又以信託投資機構最為顯著。政府機構持股、金融機構持股及其他法人持股不會增加私有資訊交易利潤。董事會結構並未顯著影響私有資訊交易利潤，家族控制董事會席次比例愈高，會增加私有資訊交易利潤，獨立董事席次比例愈高，會減少股價報酬提前反應的幅度，但未達顯著水準。

關鍵字

私有資訊交易 ； 盈餘預測 ； 股權結構

並列摘要

There were rumors now and then about adjusting the shareholding by the management of corporations prior to the disclosure of vital information, thus acquire huge returns after the announcement. More than a half of listed companies in Taiwan are controlled by the families. The majority shareholders exploit their information superiority to expropriate the minority shareholders. This would harm the long term development of capital market. Intended to enhance the financial transparency, Taiwan’s Securities and Futures Bureau previously mandated the disclosure of financial forecast prior to major changes in corporation during 1991 to 2004, with anticipation to reduce the information asymmetry between the investors and the management. Meanwhile the authority requests the internal personnel to publicly report the shareholding changes, demanding the company to exercise the disgorgement on short-term trading of inside personnel, and appreciably increased the penalties and fines of insider trading. Owing to the strict criterions for insider trading by law, dummy accounts flooding the Taiwan capital market, resulted in low prosecuting and even lower conviction rates. Insider trading could not be eliminated in Taiwan. This study aims to investigate whether the information superiors would exploit the timing of earnings forecast announcement to progress private informed trades through conscientious and profound statistical modeling. The effect of ownership structure and board structure on the returns of private informed trades is also to be elucidated.
Market statistics and financial information of listed companies during 1987 to 2006 were studied via event study methodology. The hypothesis of significant increase for informed trades was tested via the correlation between accumulated abnormal returns and abnormal turnover rates during event window. Further dividing the samples into bull market and bear market, we studied the effect on the trading incentives by earning forecast announcement. Pooled fixed year effects, as well as testing of individual year, were applied with the aide of threshold regression to investigate the effect on private informed trades by information asymmetry. Generalized Estimating Equations were further applied to test the related hypotheses of ownership structure, avoiding the clustered samples to influence the estimation of regression parameters, and therefore the power of test.
The results show that both pooled effects and individual year estimate lead to the same conclusion that the primary trading incentives being risk sharing during observation period. But the private informed trades increase significantly at event window (starting from 20 days prior to earning forecast disclosure), and this phenomena became more evident in bear market than bull market. Voluntary forecast induces more private informed trades than mandatory ones. The trading system of stock market and anticipated legal cost would hypothetically provoke more private informed trades by positive news rather than negative ones. Threshold regression indicates that 66% of observations (82% in bull market) have the phenomenon of increasing information trades at event window. The returns of private informed trades will be significantly enlarged especially when the anticipated earning by the company is opposite to the trend of economy.
This study also reveals that ownership structure has significant effect on the profit of private informed trades. The cash flow right (CFR) by family has the incentive effect. The profit of private informed trades diminishes as family ownership increases. The larger the deviation of ownership by family from cash flow right (CFR), the greater projected profit from information trades, which direct to the entrenchment effect. Institutional investors, being another category of information superiors, would increase the stock price respondence prior to earning forecast announcement. Most influential institutional investors are trust funds. The family members on board structure have the positive effect on the returns of private informed trades, yet fail to reach significance. Independent board members have insignificant effect on stock price respondence prior to earning forecast announcement.

並列關鍵字

Private information trading ； Earnings forecast ； Ownership structure

參考文獻

金成隆、林修葳、張永芳，“強制性財務預測誤差與盈餘管理關係-20%門檻限制影響之研究”，中國財務學刋，第7卷第1期，1999，頁59-96。

--------、---------，“上市公司管理當局自願性盈餘預測揭露及揭露時點之影響因素--臺灣地區之實證分析”，中國財務學刊，第6卷第1期，1998(b)，頁1-44。

周行一、陳錦村、陳坤宏，“家族企業、聯屬持股與公司價值之研究”，中國財務學刊，第4卷第1期，1996，頁115-139。

陳冠宙，陳育成，陳雪如，“影響上市公司網站資訊透明度因子之實證”，會計與公司治理，第2卷第1期，2005，頁33-59。

林淑莉，“管理當局盈餘預測態度與自願性盈餘預測資訊內涵的關係”，當代會計，第5卷第2期，2004，頁175-206。